NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on the MCAP CMBS Issuer Corporation's (MCAP) commercial mortgage pass-through certificates, series 2014-1.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$189,302,000 class A 'AAAsf'; Outlook Stable;
--$5,600,000 class B 'AAsf'; Outlook Stable;
--$8,121,000 class C 'Asf'; Outlook Stable;
--$7,001,000 class D 'BBBsf'; Outlook Stable;
--$3,361,000 class E 'BBB-sf'; Outlook Stable;
--$2,800,000 class F 'BBsf'; Outlook Stable;
--$2,800,000 class G 'Bsf'; Outlook Stable.
All currencies are in Canadian dollars (CAD).
Fitch does not expect to rate the $224,026,365 (notional balance) interest-only class X, or the $5,041,365 non-offered class H.
The certificates represent the beneficial ownership in the trust, primary assets of which are 32 Canadian loans secured by 36 commercial properties having an aggregate principal balance of approximately $224.0 million as of the cutoff date. The loans were originated or acquired by MCAP Financial Corporation.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 83.7% of the properties by balance, cash flow analysis of 100%, and asset summary reviews on 100% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.06x, a Fitch stressed loan-to-value (LTV) of 108.5%, and a Fitch debt yield of 8.4%. Fitch's aggregate net cash flow represents a variance of 6.0% to issuer cash flows.
KEY RATING DRIVERS
Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. For more information on prior Canadian CMBS securitizations, see Fitch Research on 'Canadian CMBS Default and Loss Study,' dated October 2013, available on Fitch's website at www. fitchratings.com
Fitch DSCR and LTV: The pool has a Fitch DSCR and LTV of 1.06x and 108.5%, respectively, which represents higher leverage than recent Canadian multiborrower deals. The CMLSI 2014-1 deal had a Fitch DSCR and LTV of 1.16x and 102.2%, respectively, and the Real-T 2014-1 deal had a Fitch DSCR and LTV of 1.15x and 110.2%, respectively. The DSCR and LTV are slightly lower than the third-quarter 2014 year-to-date averages for U.S. CMBS, which are a DSCR of 1.19x and an LTV of 106.9%.
Significant Amortization: The pool has a weighted average amortization term of 25.2 years, which represents faster amortization than typical U.S. conduit pools. There are no partial or full interest-only loans. The pool's maturity balance represents a pay down of 12.6% of the closing balance and 15.9% from the original loan balance.
Loans with Recourse: Of the pool, 82.9% of the loans feature full or partial recourse to the borrowers and/or sponsors. The recourse is in line with the CMLSI 2014-1 transaction (82.6%), and lower than the IMSCI 2014-5 (84.9%) and the Real-T 2014-1 (91.2%) transactions.
Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to $1 of loss being experienced by the 'BBB-sf' and 'AAAsf' rated classes. Fitch found that the MCAP 2014-1 pool could withstand a 36.9% decline in value (based on appraised values at issuance) and an approximately 16.4% decrease to the most recent actual cash flow prior to experiencing a $1 of loss to the 'BBB-sf' rated class. Additionally, Fitch found that the pool could withstand a 46.4% decline in value and an approximately 25.9% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.
The master and special servicer is MCAP Financial Corporation, which is unrated by Fitch. However, Fitch performed a limited scope review which included a discussion with management, and has begun the full servicer review process. Fitch views MCAP as acceptable to serve as servicer for the transaction.
The presale report is available at 'www.fitchratings.com' or by clicking on the link.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 2014);
--'Global Structured Finance Rating Criteria' (August 2014);
--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2013).
Applicable Criteria and Related Research: MCAP 2014-1
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Global Structured Finance Rating Criteria
Counterparty Criteria for Structured Finance and Covered Bonds
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria